Closing price determination for an automated market system

ABSTRACT

A method for determining a closing price of a security traded in an electronic market includes receiving a trade price of an executed trade of the security wherein the executed trade is executed during a trading session of the electronic market, comparing the received trade price to a market parameter of the security to determine the closing price of the security, and reporting the determined closing price of the security to a user.

BACKGROUND

This invention relates to trading systems particularly financial tradingsystems.

Electronic equity markets, such as The Nasdaq Stock Market® collect,aggregate and display trade information to market participants. Marketparticipants initiate trades of securities by sending trade informationto the electronic market on which the securities are traded. Aftertrades, the market participant receives confirmation that the initiatedtrades have been executed then typically within ninety seconds afterexecution of a particular trade, a trade report is produced so theelectronic market can report the executed trade. Since trade reports aresent up to ninety seconds after execution of the respective trade, oneor more trade reports may be received by the electronic market as muchas ninety seconds after the end of the trading session in which thetrades were executed. Typically the last trade report received for anexecuted trade is passively used to calculate the closing price of therespective security. However, in some instances this last trade reportmay not appropriately represent the value of the security at the end ofthe trading session.

SUMMARY

According to an aspect of the present invention, a method fordetermining a closing price of a security traded in an electronic marketincludes, receiving a trade price of an executed trade of the securitywherein the executed trade is executed during a trading session of theelectronic market, comparing the received trade price to a marketparameter of the security to determine the closing price of thesecurity, and reporting the determined closing price of the security toa user.

According to an additional aspect of the present invention, a computerprogram product residing on a computer readable medium, for determininga closing price of a security traded in an electronic market, includesinstructions to cause a computer to receive a trade price of an executedtrade of the security wherein the executed trade is executed during atrading session of the electronic market, compare the received tradeprice to a market parameter of the security to determine the closingprice of the security, and report the determined closing price of thesecurity to a user.

According to an additional aspect of the present invention, a closingprice process, for determining a closing price of a security traded inan electronic market, includes a receiving process to receive a tradeprice of an executed trade of the security wherein the executed trade isexecuted during a trading session of the electronic market, a comparingprocess to compare the received trade price to a market parameter of thesecurity to determine the closing price of the security, and a reportingprocess to report the determined closing price of the security to auser.

One or more of the following features may also be included.

The trade price may be received after the end of the trading session ofthe electronic market. The trade price may be received within twoseconds after the end of the trading session of the electronic market.The trade price may be received after the end of the trading session butprior to the end of a time period during which another trade price isreceivable. The market parameter of the security may include an insidemarket of the security at the time the trade price is received. Themarket parameter of the security may include an inside market of thesecurity at the end of the trading session. The closing price may be thevalue of the trade price if the trade price is within the inside marketof the security. The closing price may be the value of a best ask of theinside market if the trade price is larger than the best ask. Theclosing price may be the value of a best bid of the inside market if thetrade price is smaller than the best bid. The reported closing price maybe retracted if the received trade price is cancelled. The receivedtrade price may be cancelled within a time period after the end of thetrading session. The reported closing price may be retracted if thereceived trade price is corrected. The determined closing price may bereported after a time period following the end of the trading session. Atrade report may include the trade price.

One or more advantages can be provided from the above. By identifyingthe last sale-eligible trade report for a particular security that isreceived within a time period (e.g., 2 seconds) after the ending of thecurrent trading session, the trade price included in the trade report isused to calculate a closing price that represents the value of thesecurity at the close of normal market hours. Additionally, bydisregarding trades received beyond this time period after the end ofthe trading session, the security closing price is not altered by tradereports that are significantly different from the inside market of thesecurity at the end of the trading session. Further, by activelycomparing this last sale-eligible trade report to the inside market ofthe security, the calculated closing price is more representative of thestate of the security at the end of the trading session.

DESCRIPTION OF DRAWINGS

FIG. 1 is a diagrammatic view of a closing price process.

FIG. 2 is a flow chart showing a closing price method.

FIG. 3 is a flow chart showing a closing price retraction method.

DETAILED DESCRIPTION

Referring to FIG. 1, a closing price process 10 resides on a storagedevice (not referenced) of a server 12 that is connected to adistributed computing network 14 (e.g., the Internet, an intranet, alocal area network, or other similar form of network). The server 12reads the storage device to place the closing price process 10 in memory(not shown) so that it can be executed by a processor (not shown).Computerized trading system 16, which trades securities electronicallyand also resides on server 12, processes trade information (e.g.,quotes, orders, etc.) entered by user 18 (e.g., a market participant, amarket maker, etc.). In some arrangements user 18 accesses computerizedtrading system 16 via a desktop application 20 (e.g., Microsoft InternetExplorer™, Netscape Navigator™, a specialized desktop interface, etc.)residing on a desktop computer 22. However, in other arrangements accessis provided by other commercial or custom software packages. After atrade is executed at a particular trade price by computerized tradingsystem 16, the computerized trading system produces a trade report. Insome arrangements the trade report includes information associated withthe executed trade such as the particular security traded, the volumetraded, the price of the trade, and so forth. Also, over the course of atrading day numerous trade reports associated with securities traded arereceived by computerized trading system 16. At the end of the tradingsession, closing price process 10 uses the received trade reports alongwith one or more market parameters (e.g., security inside market) thatcharacterize the financial status of the respective securities. Afterreceiving the trade reports and market parameters, closing price process10 calculates a closing price for each security traded during thetrading session and soon thereafter releases the closing prices for usein after-market activities such as for use with pricing indices, largeinstitutional orders, mutual fund values, after-hours trading and soforth.

In a computerized trading system 16 the user 18 electronically tradeswith other users (as opposed to trading on a trading floor). In acomputerized trading system trading can occur over extended periods oftime. An example of an electronically trading system is the Nasdaq StockMarket™ and an example of a floor-trading system is the New York StockExchange™. As traditional, floor-traded trading systems typically needinteractions on a trading floor between human traders to accomplishsecurity trades, this trading most typically occurs during the regulartrading hours also know as a trading session (i.e., 9:30 a.m. to 4:00p.m. ET). Similarly, electronically traded stock markets, such ascomputerized trading system 16 allow trading during a trading session(i.e., 9:30 a.m. to 4:00 p.m. ET). However, in some arrangementselectronically traded stock markets additionally allow forextended-hours trading between traders via computers before or afternormal trading hours. For example, the Nasdaq Stock Market™ allowstrading before normal business hours (between 8:00 a.m. and 9:30 a.m.ET) and after normal business hours (between 4:00 p.m. and 6:30 p.m.ET).

Both floor-trading systems and electronic trading systems typically endindividual trading sessions at the end of the respective business day(i.e., 4:00 p.m. ET) and re-start trading during the next business dayto initiate another trading session. Prior to initiating trading duringthe next trading session, closing price process 10 determines theclosing price of each security electronically traded on computerizedtrading system 16. By determining the closing price after the end ofeach trading session, a starting price for each security is establishedfor the next trading session along with providing the closing price foruse with after-market activities performed by computerized tradingsystem 16 and other entities. To determine the closing price for eachsecurity, closing price process 10 uses the information included intrade reports that are received from users such as user 18 bycomputerized trading system 16 after the execution of each trade.

To keep an appropriate accounting of executed trades, computerizedtrading system 16 requires that each trade report be received within afixed time period after each respective trade is execute. For example,computerized trading system 16 requires that each trade report bereceived within, e.g., 90 seconds of each respective trade execution.However, since trades are typically executed up to the end of a tradingsession (i.e., 4:00 p.m. ET), trade reports can be received 90 secondsafter the end of the trading session (i.e., 4:01:30 p.m. ET). Due toincreases in computation speed and network bandwidth, trade reports aretypically received by computerized trading system 16 nearly instantlyafter the execution of the respective trade. Typically for tradesexecuted near the end of a trading session (i.e., 4:00 p.m. ET), a largepercentage of the associated trade reports are received within secondsby computerized trading system 16. Since a large percentage of tradereports are received far in advance of the required 90-second timeperiod, closing price process 10 determines the closing price from thetrade reports received within seconds of the end of the trading sessionand not from the smaller percentage of trade reports received near theend of the 90-second time period. Further, by determining the closingprice from the large percentage of trade reports received within secondsafter the end of the trading session, the probability of a user settinga closing price with a non-representative value (i.e., “gaming”) bytransmitting a trade report for reception near the end of the 90-secondtime period is reduced.

For example, closing price process 10 determines the closing price foreach traded security from the last respective trade report received bycomputerized trading system 16 at or prior to two seconds after the endof the trading session (i.e., 4:00:02 p.m. ET). Thus the last tradereport, for each traded security, received at or prior to two secondsafter the end of a trading session is used to determine the closingprice and trade reports received between two seconds after the end ofthe trading session (4:00:02 p.m. ET) and ninety seconds after the endof the trading session (4:01:30 p.m. ET) are not used to determined theclosing price, but are still reported.

Any trading system that includes a computerized component for automatedtrading can trade electronically. Accordingly, a floor-traded system cantrade electronically if there is a computerized component, whichfacilitates the floor trades. For example, some floor-traded systemsinclude computer systems to establish opening quotes, track enteredorders (e.g., manually entered, electronically entered, etc.), and trackorder execution (e.g., in electronic order book) on the trading floor.Additionally the computer systems are used to report the executed tradesto entities not located on the trading floor. So even for floor tradingthere are decisions that are made to determine a closing price forsecurities traded on a floor-traded system and trade reports receivedprior to a time (e.g., 4:00:02 p.m. ET) after the end of the tradingsession. Therefore, the trading systems encompassed herein could includesystems such as the New York Stock Exchange.

Additionally, to provide a representative closing price for eachsecurity traded on computerized trading system 16, closing price process10 determines if the trade price included in the last respective tradereport received at or prior to 4:00:02 p.m. ET is within the insidemarket of the respective security. In this particular arrangement, ifthe trade price is at or within the inside market (i.e., the highest bidand the lowest ask prices made by market makers for their inventories ofa security), the closing price is the value of the trade price includedin the trade report. However, if the trade price is not at or within theinside market, closing price process 10 sets the closing price value tobe the value of the best bid or best ask price of the inside marketdependent upon if the trade price is larger or smaller than the insidemarket of the security. To determine if the trade price is within theinside market of the security, the trade price is compared to the insidemarket. If the trade report that includes the trade price is received bycomputerized trading system 16 during the trading session, the insidemarket at the reception time of the trade report is used for in thecomparison. But if the trade report is received after the end of thetrading session (i.e., 4:00 p.m. ET), the inside market at the time ofthe trading session end is used for comparison. For example, if thetrade report is received by computerized trading system 16 prior to theend of the trading session (i.e., prior to 4:00 p.m. ET) closing priceprocess 10 compares the trade price in the trade report to the insidemarket at the time the trade report was received. But if the tradereport is received after the end of the trading session but at or priorto two-seconds after the end of the trading session (e.g., between4:00:00 p.m. and 4:00:02 p.m. ET), closing price process 10 compares thetrade price included in the trade report to the inside market at the endof the trading session (i.e., at 4:00:00 p.m. ET).

After the appropriate inside market is determined, closing price process10 determines if the respective trade price is larger, smaller, orwithin the inside market. If the trade price is larger than the “bestask” of the inside market, the value of the closing price is set to thevalue of the best ask. If the closing price is smaller than the “bestbid” of the inside market, the value of the closing price is set to thevalue of the best bid. By adjusting the closing price to be within theinside market of the associated security, closing price process 10ensures that the closing price is not set by a trade price that does notappropriately represent the value of the security at end of the tradingsession. Thus, a trade price associated with an “outlier” trade isadjusted to reflect the inside market prior to setting the closingprice. In this particular arrangement, the inside market of therespective security was compared to the trade price of the last receivedsale-eligible trade during or within two seconds of the ending of atrading session. However, in some arrangements one or more other marketparameters, for example, associated with the trading price of therespective security such as a high or low trading price or otherparameter that represents a security's price or value can be usedindividually or in combination with the respective inside market of thesecurity for setting the closing price. Once the closing prices aredetermined for each of the securities traded by computerized tradingsystem 16, closing price process 10 reports each closing price for usein after market activities. However, in some arrangements closing priceprocess 10 does not release the determined closing prices until all thetrade reports have been received. In this particular example, closingprice process 10 releases the closing prices after the 90-second timeperiod that trade reports are receivable (i.e., after 4:01:30 p.m. ET).By delaying the release of the closing prices, closing price process 10ensures that all trade reports are received prior to providing theclosing price for after market activities. However, closing priceprocess 10 allows for trade reports to be cancelled or corrected for aperiod of time after the end of a trading session. For example,computerized trading system 16 allows the user 18 or other marketparticipants to cancel or correct a trade report until 5:15 p.m. ET.Since a received trade report, which may be used to set the closingprice of a security, may be cancelled or corrected after the closingprice is determined (i.e., at or prior to 4:00:02 p.m. ET) and reported(i.e., at 4:01:30 p.m. ET), closing price process 10 is capable ofretracting a reported closing price and recalculating the closing pricefrom received corrected information that is associated with a correctedtrade report. For cancelled trade reports, closing price process 10 usesthe next eligible trade report to recalculate the closing price of theassociated security. Once the closing price is retracted and corrected,closing price process 10 re-reports the revised closing price.

As shown in FIG. 1, to determine the closing price for each securitytraded by computerized trading system 16, closing price process 10 alsoincludes trade report receiving process 24 that receives trade reportsafter the associated trades are executed. After a trade report isreceived by trade report receiving process 24, the trade report is sentto acceptable venue process 26. Acceptable venue process 26 determinesif the received trade report was sent from an appropriate venue. Forexample, some electronically traded markets such as the Nasdaq StockMarket™ typically do not consider trades reported by NASD members to anyvenue outside of the Nasdaq Stock Market™. Such venues may include butare not limited to the NASD Alternative Display Facility or otherunlisted trading privileges (UTP) exchanges. Also in some arrangementsthe Nasdaq Stock Market™ does not consider trades reported by UTPexchanges that are not executed through the Nasdaq Stock Market™ systemsto determine the respective closing price. So, in one particulararrangement, if no appropriate trade activity is reported to theelectronically traded market during a trading session, closing priceprocess 10 reports no closing price for that security and entitiesinvolved in after market activities use the last received closing pricesuch as the closing price reported from the previous trading session.

If acceptable venue process 26 determines that an appropriate venue hasprovided a trade report to computerized trading system 16, acceptabletime process 28 determines if the received trade report was received ator prior to 4:00:02 p.m. ET. However, in some arrangements one or moretimes, which may or may not include 4:00:02 p.m., can be used byacceptable time process 28 in determining a closing price. Also,acceptable time process 28 determines if the received trade report isthe last trade report received at or prior to 4:00:02 p.m. ET for theparticular security. If it is the last received at or prior to 4:00:02p.m. ET, acceptable time process 28 identifies the received trade reportfor determining the closing price for the associated security.

In some arrangements, acceptable time process 28 determines thereception time of a trade report by examining a modifier associated withthe received trade report to determine if the included trade price is tobe used for determining the closing price. For example, some modifierssignify if an associated trade report was reported after normal markethours, is out of range, or includes a prior reference price. However, insome arrangements modifiers are assigned so that the associated tradereport is considered in calculating a closing price even though thetrade report was received late. For example, a trade report thatincludes an “.SLD” modifier to signify the trade was reported more than90 seconds after execution can be accepted if it is the only trade ofthe day.

After acceptable time process 28 identifies the received trade reportfor determining the closing price for the security, the trade report issent to trade price comparison process 30. Trade price comparisonprocess 30 determines the closing price of the particular security fromthe received trade report by comparing trade price included in the tradereport to the inside market of the security at the time the trade reportwas received by trade report receiving process 24. However, asmentioned, if the trade report is received after the end of the currenttrading session (i.e., after 4:00 p.m. ET) but at or prior to the end ofthe 2-second time period (i.e., at or before 4:00:02 p.m. ET), the tradeprice is compared to the inside market of the security at the end of thetrading session (i.e., at 4:00 p.m. ET). Inside market process 32provides the inside market of the security associated with the tradereport to trade price comparison process 30. As mentioned, if the tradeprice is within the security inside market, the closing price of thesecurity is the value of the trade price included in the trade report.However, if the trade price is larger than the best ask (i.e., thelowest price any market participant seller has declared that they arewilling to accept for selling a particular security at a given time)associated with the inside market, the closing price is value of thebest ask. Correspondingly, if the trade price is smaller than the bestbid (i.e., the highest price any market participant has declared thatthey are willing to pay for buying a particular security at a giventime) associated with the inside market, the closing price is the valueof the best bid.

After trade price comparison process 30 determines the closing price ofthe security, the closing price is sent to closing price reportingprocess 34 for reporting to computerized trading system 16 and otherinterested parties for after-market activities and other activities. Insome arrangements one or more processes (not shown) included or notincluded (e.g., an industry consolidator process) in computerizedtrading system 16 reports the closing price to interested parties (e.g.,market participants, market makers, etc.). Typically closing pricereporting process 34 releases the closing prices for each security afterthe 90-second time period (i.e., after 4:01:30 p.m. ET) for receivingtrade reports by computerized trading system 16. However, in somearrangements the closing prices, or portion of the closing prices, arereleased before or after this 90-second time period. Also, in somearrangements closing price reporting is performed by displaying theclosing prices to users (e.g., market participants, market makers,etc.), by electronically sending the closing prices to users, or byother similar method.

Computerized trading system 16 also includes closing price retractionprocess 36 that monitors the trading system for cancellations andcorrections to trade reports used to determine closing prices. Inparticular, the retraction process 36 monitors computerized tradingsystem 16 for cancellation or corrections initiated by user 18 for thetrade report used to determine a closing price. In this particularexample, computerized trading system 16 allows closing prices to becancelled or corrected up to a particular time after the trading sessionhas ended. For example, a closing price may be cancelled or correcteduntil 5:15 p.m. ET. If closing price retraction process 36 detects acancellation or correction to the trade report used to determine theclosing price of a security, closing price retraction process 36 alertsclosing price process 10 to recalculate the closing price for thesecurity. If the corresponding trade report is corrected, closing priceprocess 10 receives corrected trade price information to recalculate theassociated closing price. But if the corresponding trade report iscancelled, closing price process 10 recalculates the closing price fromthe next eligible received trade report that is acceptable to acceptablemember process 26 and acceptable time process 28. Additionally, closingprice process 10 repeats functions of the other included processes(e.g., trade price comparison process 30) prior to reporting the revisedclosing price.

Referring to FIG. 2, an exemplary embodiment of the closing priceprocess 40 is shown. Closing price process 40 receives 42 a trade reportfor an associated security during a trading session or within 90 secondsafter the end of the trading session. After receiving 42 the tradereport, closing price process 40 determines 44 if the trade report wassent from an appropriate venue. If closing price process 40 determinesthat the trade report was not sent from an appropriate venue, closingprocess 40 returns to receive the next trade report. If determined thatthe venue is appropriate, closing price process 40 determines 46 if thetrade report is the last trade report associated with the respectivesecurity received during the trading session or at or prior to twoseconds after the end of the trading session (i.e., 4:00:02 p.m. ET). Ifdetermined that the received trade report is not the last received tradereport of the respective security for this particular time period,closing price process 40 returns to receive 42 the next trade report. Ifdetermined that the received trade report is the last trade reportreceived in this time period, closing price process 40 extracts 48 thetrade price included in the trade report and then receives 50 the insidemarket of the security for comparison to the trade price. If the tradereport was received prior to the ending of the trading session, theinside market used for comparison is the inside market of the securityat the time the trade report was received. However, if the trade reportwas received at or after the end of the trading session, the insidemarket of the security at the end of the trading session is used forcomparison. After receiving 50 the inside market of the securityassociated with the trade report, the closing price process 40determines 52 if the trade price is within the received inside market ofthe security. If determined that the trade price is within the receivedinside market, closing price process 40 sets 54 the value of the closingprice of the security to the value of the trade price and reports 56 theclosing price to the user for after-market activities and for use as astart-up price for the next trading session.

If determined that the trade price is not within received inside market,closing price process 40 determines 58 if the trade price is larger thanthe best ask of the inside market. If determined that the trade price islarger than the best ask of the inside market, closing price process 40sets 60 the value of the closing price to the value of the best ask ofthe inside market and reports 62 the closing price to the user forafter-market activities and for use as a start-up price for the nexttrading session. If determined that the trade price is not larger thanthe best ask of the inside market, then the trade price is smaller thanthe best bid of the inside market. Closing price process 40 sets 64 thevalue of the closing price to the value of the best bid price of theinside market and reports 66 the closing price for after-marketactivities and for use as a start-up price for the next trading session.

Referring to FIG. 3 an exemplary embodiment of the closing priceretraction process 70 is shown. Closing price retraction process 70receives 72 a trade report for an associated security traded oncomputerized trading system 16 (shown in FIG. 1). After receiving 72 thetrade report, closing price retraction process 70 determines 74 if thereceived trade report is associated with canceling or correcting a tradereport used to determine the closing price of the associated security.If determined that the received trade report is not associated withcanceling or correcting a trade report used to determine the closingprice, closing price retraction process 70 returns to receive 72 thenext trade report. If determined that the received trade report isassociated with canceling or correcting a trade report used to determinethe closing price, closing price retraction process 70 determines 76 ifthe trade report was received at or prior to 5:15 p.m. ET. In otherarrangements, a time before or after 5:15 p.m. ET is used by closingprice retraction process 70. If determined that the trade report was notreceived at or prior to 5:15 p.m. ET, closing price retraction process70 returns to receive 72 the next trade report and repeats. Ifdetermined that the trade report was received at or prior to 5:15 p.m.ET, closing price retraction process 70 retracts 78 the previouslyreported closing price of the security and sends 80 the trade report tothe closing price process 40 (shown in FIG. 2) to determine and report arevised closing price for the associated security.

The closing price process 10 (shown in FIG. 1) described herein is notlimited to the embodiment described above; it may find applicability inany computing or processing environment. The closing price process maybe implemented in hardware, software, or a combination of the two. Forexample, the closing price process may be implemented using circuitry,such as one or more of programmable logic (e.g., an ASIC), logic gates,a processor, and a memory.

The closing price process may be implemented in computer programsexecuting on programmable computers that each includes a processor and astorage medium readable by the processor (including volatile andnon-volatile memory and/or storage elements). Each such program may beimplemented in a high-level procedural or object-oriented programminglanguage to communicate with a computer system. However, the programscan be implemented in assembly or machine language. The language may bea compiled or an interpreted language.

Each computer program may be stored on an article of manufacture, suchas a storage medium (e.g., CD-ROM, hard disk, or magnetic diskette) ordevice (e.g., computer peripheral), that is readable by a general orspecial purpose programmable computer for configuring and operating thecomputer when the storage medium or device is read by the computer toperform the functions of the closing price process. The closing priceprocess may also be implemented as a machine-readable storage medium,configured with a computer program, where, upon execution, instructionsin the computer program cause a machine to operate to perform thefunctions of the closing price process described above.

Embodiments of the closing price process may be used in a variety ofapplications. Although the closing price process is not limited in thisrespect, the closing price process may be implemented with memorydevices in microcontrollers, general purpose microprocessors, digitalsignal processors (DSPs), reduced instruction-set computing (RISC), andcomplex instruction-set computing (CISC), among other electroniccomponents.

Embodiments of the closing price process may also be implemented usingintegrated circuit blocks referred to as core memory, cache memory, orother types of memory that store electronic instructions to be executedby a microprocessor or store data that may be used in arithmeticoperations.

A number of embodiments of the invention have been described.Nevertheless, it will be understood that various modifications may bemade without departing from the spirit and scope of the invention.

1. A computer implemented method for determining a closing price of asecurity traded in an electronic trading system, the method comprises:receiving by a computer system, up until a predetermined time limitafter an end of a regular trading session of the electronic tradingsystem, trade prices of one or more executed trades of the security, theone or more executed trades occurring during the trading session;identifying a trade price that is received most recently relative to apredetermined time point after the end of the regular trading sessionand within the predetermined time limit; comparing by the computersystem the identified trade price to an inside market of the security todetermine the closing price of the security, while the trade pricesreceived after the receipt of the identified trade price and within thepredetermined time limit are excluded from determining the closingprice; determining the closing price, with the closing price beingrelated to either the value of the identified trade price if theidentified trade price is within the inside market price of the securityor the value of a best ask of the inside market price if the identifiedtrade price is larger than the best ask or the value of a best bid ofthe inside market price if the identified trade price is smaller thanthe best bid; and reporting the determined closing price of the securityto a user.
 2. The method of claim 1 wherein the predetermined time pointis two seconds after the end of the trading session of the electronictrading system.
 3. The method of claim 1 wherein the predetermined timelimit is 90 seconds after the end of the regular trading session of theelectronic market.
 4. The method of claim 1 wherein the inside marketprice of the security is at the time the trade price is received.
 5. Themethod of claim 1 wherein the inside market price of the security is atthe end of the trading session.
 6. The method of claim 1 wherein theclosing price is the value of the identified trade price if theidentified trade price is within the inside market price of thesecurity.
 7. The method of claim 1 wherein the closing price is thevalue of a best ask of the inside market price if the identified tradeprice is larger than the best ask.
 8. The method of claim 1 wherein theclosing price is the value of a best bid of the inside market price ifthe identified trade price is smaller than the best bid.
 9. The methodof claim 1 further comprising: retracting the reported closing price ifthe identified trade price is cancelled.
 10. The method of claim 9wherein the identified trade price is cancelled within a time periodafter the end of the trading session.
 11. The method of claim 1 furthercomprising: retracting the reported closing price if the identifiedtrade price is corrected.
 12. The method of claim 1 wherein thedetermined closing price is reported after a time period following theend of the trading session.
 13. The method of claim 1 wherein the tradeprices are included in trade reports.
 14. A computer program producttangibly embodied on a computer readable medium comprises instructionsfor determining a closing price of a security traded in an electronictrading system, the instructions cause a computer to: receive, up untila predetermined time limit after an end of a regular trading session ofthe electronic trading system, trade prices of one or more executedtrades of a security, the one or more executed trades occurring duringthe trading session; identify a trade price that is received mostrecently relative to a predetermined time point after the end of theregular trading session and within the predetermined time limit; comparethe identified trade price to an inside market price of the security todetermine the closing price of the security, while the trade pricesreceived after receipt of the identified trade price and within thepredetermined time limit are excluded from determining the closingprice; determine the closing price, with the closing price being relatedto either the value of the identified trade price if the identifiedtrade price is within the inside market price of the security or thevalue of a best ask of the inside market price if the identified tradeprice is larger than the best ask or the value of a best bid of theinside market price if the identified trade price is smaller than thebest bid; and report the determined closing price of the security to auser.
 15. The computer program product of claim 14 wherein thepredetermined time point is two seconds after the end of the tradingsession of the electronic trading system.
 16. The computer programproduct of claim 14 wherein the predetermined time limit is 90 secondsafter the end of the regular trading session of the electronic market.17. The computer program product of claim 14 wherein the inside marketprice of the security is at the time the trade price is received. 18.The computer program product of claim 14 wherein the inside market priceof the security is at the end of the trading session.
 19. The computerprogram product of claim 14 wherein the closing price is the value ofthe identified trade price if the identified trade price is within theinside market price of the security.
 20. The computer program product ofclaim 14 wherein the closing price is the value of a best ask of theinside market price if the identified trade price is larger than thebest ask.
 21. The computer program product of claim 14 wherein theclosing price is the value of a best bid of the inside market price ifthe identified trade price is smaller than the best bid.
 22. Thecomputer program product of claim 14 further comprising instructions tocause the computer to: retract the reported closing price if theidentified trade price is cancelled.
 23. The computer program product ofclaim 22 wherein the identified trade price is cancelled within a timeperiod after the end of the trading session.
 24. The computer programproduct of claim 14 further comprising instructions to cause thecomputer to: retract the reported closing price if the identified tradeprice is corrected.
 25. The computer program product of claim 14 whereinthe determined closing price is reported after a time period followingthe end of the trading session.
 26. The computer program product ofclaim 14 wherein the trade prices are included in trade reports.
 27. Acomputer system for determining a closing price of a security traded inan electronic trading system, the computer system comprises: aprocessor; memory coupled to the processor; and a computer readablemedium storing a computer program product comprising instructions forcausing the computer to: receive, up until a predetermined time limitafter an end of a regular trading session of the electronic tradingsystem, trade prices of one or more executed trades of the securitywherein the one or more executed trades are executed during the regulartrading session; identify a trade price that is received most recentlyrelative to a predetermined time point after the end of the tradingsession and within the predetermined time limit; compare the identifiedtrade price to an inside market price of the security to determine theclosing price of the security, while the trade prices received after thereceipt of the identified trade price and within the predetermined timelimit are excluded from determining the closing price; determine theclosing price, with the closing price being related to either the valueof the identified trade price if the identified trade price is withinthe inside market price of the security or the value of a best ask ofthe inside market price if the identified trade price is larger than thebest ask or the value of a best bid of the inside market price if theidentified trade price is smaller than the best bid; and report thedetermined closing price of the security to a user.
 28. The computersystem of claim 27 wherein the predetermined time point is two secondsafter the end of the trading session of the electronic trading system.29. The computer system of claim 27 wherein the predetermined time limitis 90 seconds after the end of the regular trading session of theelectronic market.
 30. The computer system of claim 27 wherein theinside market of the security is at the time the trade price isreceived.
 31. The computer system of claim 27 wherein the inside marketprice of the security is at the end of the trading session.
 32. Thecomputer system of claim 27 wherein the closing price is the value ofthe identified trade price if the identified trade price is within theinside market price of the security.
 33. The computer system of claim 27wherein the closing price is the value of a best ask of the insidemarket price if the identified trade price is larger than the best ask.34. The computer system of claim 27 wherein the closing price is thevalue of a best bid of the inside market price if the identified tradeprice is smaller than the best bid.
 35. The computer system of claim 27further comprising: a retracting process to retract the reported closingprice if the identified trade price is cancelled.
 36. The computersystem of claim 35 wherein the identified trade price is cancelledwithin a time period after the end of the trading session.
 37. Thecomputer system of claim 27 further comprising: a retracting process toretract the reported closing price if the identified trade price iscorrected.
 38. The computer system of claim 27 wherein the determinedclosing price is reported after a time period following the end of thetrading session.
 39. The computer system of claim 27 wherein the tradeprices are included in trade reports.